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On the power of modified Kapetanios-Snell-Shin (KSS) tests

Author

Listed:
  • Jen-je Su

    (Griffith University)

  • Wai-kong (adrian) Cheung

    (Griffith University)

  • Astrophel (kim) Choo

    (Griffith University)

Abstract

This paper investigates if the recursive detrending method that works well for linear unit root tests also provides good outcomes for nonlinear unit root tests. It is found that the method improves the power of the nonlinear test when only a non-trending mean needs to be removed. The test, however, is no longer performing well if removal of a deterministic trend is required.

Suggested Citation

  • Jen-je Su & Wai-kong (adrian) Cheung & Astrophel (kim) Choo, 2010. "On the power of modified Kapetanios-Snell-Shin (KSS) tests," Economics Bulletin, AccessEcon, vol. 30(3), pages 2028-2036.
    • Handle: RePEc:ebl:ecbull:eb-10-00445
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    File URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I3-P186.pdf
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    More about this item

    Keywords

    unit root test; detrending; simulation; power;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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